{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,1]],"date-time":"2026-10-01T07:28:42Z","timestamp":1790839722154,"version":"4.1.0"},"reference-count":41,"publisher":"Oxford University Press (OUP)","issue":"1","license":[{"start":{"date-parts":[[2023,2,24]],"date-time":"2023-02-24T00:00:00Z","timestamp":1677196800000},"content-version":"vor","delay-in-days":397,"URL":"http:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"funder":[{"DOI":"10.13039\/501100000266","name":"EPSRC","doi-asserted-by":"publisher","award":["EP\/T02772X\/1"],"award-info":[{"award-number":["EP\/T02772X\/1"]}],"id":[{"id":"10.13039\/501100000266","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000266","name":"EPSRC","doi-asserted-by":"publisher","award":["EP\/P031447\/1"],"award-info":[{"award-number":["EP\/P031447\/1"]}],"id":[{"id":"10.13039\/501100000266","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100000266","name":"EPSRC","doi-asserted-by":"publisher","award":["EP\/N031938\/1"],"award-info":[{"award-number":["EP\/N031938\/1"]}],"id":[{"id":"10.13039\/501100000266","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2022,2,1]]},"abstract":"<jats:title>Abstract<\/jats:title><jats:p>We introduce a new method for high-dimensional, online changepoint detection in settings where a p-variate Gaussian data stream may undergo a change in mean. The procedure works by performing likelihood ratio tests against simple alternatives of different scales in each coordinate, and then aggregating test statistics across scales and coordinates. The algorithm is online in the sense that both its storage requirements and worst-case computational complexity per new observation are independent of the number of previous observations; in practice, it may even be significantly faster than this. We prove that the patience, or average run length under the null, of our procedure is at least at the desired nominal level, and provide guarantees on its response delay under the alternative that depend on the sparsity of the vector of mean change. Simulations confirm the practical effectiveness of our proposal, which is implemented in the R package ocd, and we also demonstrate its utility on a seismology data set.<\/jats:p>","DOI":"10.1111\/rssb.12447","type":"journal-article","created":{"date-parts":[[2022,1,24]],"date-time":"2022-01-24T06:20:10Z","timestamp":1643005210000},"page":"234-266","source":"Crossref","is-referenced-by-count":44,"title":["High-Dimensional, Multiscale Online Changepoint Detection"],"prefix":"10.1093","volume":"84","author":[{"given":"Yudong","family":"Chen","sequence":"first","affiliation":[{"name":"University of Cambridge , Cambridge, Cambridgeshire , UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tengyao","family":"Wang","sequence":"additional","affiliation":[{"name":"London School of Economics and Political Science , London , UK"},{"name":"University College London , London , UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Richard J.","family":"Samworth","sequence":"additional","affiliation":[{"name":"University of Cambridge , Cambridge, Cambridgeshire , UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"286","published-online":{"date-parts":[[2022,1,23]]},"reference":[{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"649","DOI":"10.1111\/rssb.12322","article-title":"Narrowest-Over-Threshold detection of multiple change points and change-point-like features","volume":"81","author":"Baranowski","year":"2019","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1111\/j.2517-6161.1959.tb00336.x","article-title":"Control charts and stochastic processes","volume":"21","author":"Barnard","year":"1959","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"113","DOI":"10.1214\/lnms\/1215090065","volume-title":"State of the art in probability and statistics (Leiden, 1999)","author":"Birg\u00e9","year":"2001"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","DOI":"10.1093\/acprof:oso\/9780199535255.001.0001","volume-title":"Concentration Inequalities: A Nonasymptotic Theory of Independence","author":"Boucheron","year":"2013"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"264","DOI":"10.1002\/2017JB014660","article-title":"Seismic amplitude ratio analysis of the 2014-15 B\u00e1r\u00f0arbunga-Holuhraun dike propagation and eruption","volume":"123","author":"Caudron","year":"2018","journal-title":"Journal of Geophysical Research: Solid Earth"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"2736","DOI":"10.1214\/17-AOS1546","article-title":"Optimal sequential detection in multi-stream data","volume":"45","author":"Chan","year":"2017","journal-title":"Annals of Statistics"},{"key":"2023022408361981700_","article-title":"ocd: high-dimensional, multiscale online changepoint detection","author":"Chen","year":"2020"},{"key":"2023022408361981700_","article-title":"Online supplementary material to \u2018High-dimensional, multiscale online changepoint detection\u2019","author":"Chen","year":"2021"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"2000","DOI":"10.1214\/16-EJS1155","article-title":"Change-point detection in panel data via double CUSUM statistic","volume":"10","author":"Cho","year":"2016","journal-title":"Electronic Journal of Statistics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"1045","DOI":"10.2307\/2171955","article-title":"Monitoring structural change","volume":"64","author":"Chu","year":"1996","journal-title":"Econometrica"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"923","DOI":"10.1214\/15-AOS1432","article-title":"Minimax estimation of linear and quadratic functionals on sparsity classes","volume":"45","author":"Collier","year":"2017","journal-title":"Annals of Statistics"},{"key":"2023022408361981700_","volume-title":"Limit Theorems in Change-Point Analysis","author":"Cs\u00f6rg\u0151","year":"1997"},{"key":"2023022408361981700_","volume-title":"Quality Control and Industrial Statistics","author":"Duncan","year":"1952"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"2051","DOI":"10.1214\/18-AOS1740","article-title":"High-dimensional change-point detection under sparse alternatives","volume":"47","author":"Enikeeva","year":"2019","journal-title":"Annals of Statistics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"589","DOI":"10.1111\/j.1467-9868.2007.00601.x","article-title":"On-line inference for multiple changepoint problems","volume":"69","author":"Fearnhead","year":"2007","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"495","DOI":"10.1111\/rssb.12047","article-title":"Multiscale change point inference","volume":"76","author":"Frick","year":"2014","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"2023022408361981700_","article-title":"Sequential change point detection in high dimensional time series","author":"G\u00f6smann","year":"2020"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"13","DOI":"10.1080\/01621459.1963.10500830","article-title":"Probability inequalities for sums of bounded random variables","volume":"58","author":"Hoeffding","year":"1963","journal-title":"Journal of the American Statistical Association"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"219","DOI":"10.1007\/s11749-014-0368-4","article-title":"Extensions of some classical methods in change point analysis","volume":"23","author":"Horv\u00e1th","year":"2014","journal-title":"TEST"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"1590","DOI":"10.1080\/01621459.2012.737745","article-title":"Optimal detection of changepoints with a linear computational cost","volume":"107","author":"Killick","year":"2012","journal-title":"Journal of the American Statistical Association"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"33","DOI":"10.1007\/BF00532688","article-title":"An approximation of partial sums of independent RVs, and the sample DF. II","volume":"34","author":"Koml\u00f3s","year":"1976","journal-title":"Z. Wahrscheinlichkeitstheorie verw. Gebiete"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"1302","DOI":"10.1214\/aos\/1015957395","article-title":"Adaptive estimation of a quadratic functional by model selection","volume":"28","author":"Laurent","year":"2000","journal-title":"Annals of Statistics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"835","DOI":"10.1017\/S0266466600166022","article-title":"Monitoring structural changes with the generalized fluctuation test","volume":"16","author":"Leisch","year":"2000","journal-title":"Econometric Theory"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"1081","DOI":"10.1214\/20-AOS1994","article-title":"Minimax rates in sparse, high-dimensional changepoint detection","volume":"49","author":"Liu","year":"2021","journal-title":"Annals of Statistics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"1897","DOI":"10.1214\/aoms\/1177693055","article-title":"Procedures for reacting to a change in distribution","volume":"42","author":"Lorden","year":"1971","journal-title":"Annals of Mathematical Statistics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"419","DOI":"10.1093\/biomet\/asq010","article-title":"Efficient scalable schemes for monitoring a large number of data streams","volume":"97","author":"Mei","year":"2010","journal-title":"Biometrika"},{"key":"2023022408361981700_","volume-title":"Brownian motion","author":"M\u00f6rters","year":"2010"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","DOI":"10.4324\/9780080551739","volume-title":"Statistical Process Control","author":"Oakland","year":"2007","edition":"6th edn."},{"key":"2023022408361981700_","article-title":"Optimal nonparametric multivariate change point detection and localization","author":"Padilla","year":"2019"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"100","DOI":"10.1093\/biomet\/41.1-2.100","article-title":"Continuous inspection schemes","volume":"41","author":"Page","year":"1954","journal-title":"Biometrika"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"523","DOI":"10.1093\/biomet\/42.3-4.523","article-title":"A test for a change in a parameter occurring at an unknown point","volume":"42","author":"Page","year":"1955","journal-title":"Biometrika"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"122","DOI":"10.1016\/j.acha.2015.11.003","article-title":"High-dimensional change-point estimation: Combining filtering with convex optimization","volume":"43","author":"Soh","year":"2017","journal-title":"Applied and Computational Harmonic Analysis"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"252","DOI":"10.1016\/j.stamet.2005.05.003","article-title":"Detection of intrusions in information systems by sequential change-point methods","volume":"3","author":"Tartakovsky","year":"2006","journal-title":"Statistical Methodology"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","DOI":"10.1201\/b17279","volume-title":"Sequential Analysis: Hypothesis Testing and Changepoint Detection","author":"Tartakovsky","year":"2014"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","DOI":"10.1007\/978-1-4757-2545-2","volume-title":"Weak Convergence and Empirical Processes","author":"van der Vaart","year":"1996"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"57","DOI":"10.1111\/rssb.12243","article-title":"High dimensional change point estimation via sparse projection","volume":"80","author":"Wang","year":"2018","journal-title":"Journal of the Royal Statistical Society Series B"},{"key":"2023022408361981700_","article-title":"Univariate mean change point detection: penalization, CUSUM and optimality","author":"Wang","year":"2018"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"670","DOI":"10.1214\/13-AOS1094","article-title":"Sequential multi-sensor change-point detection","volume":"41","author":"Xie","year":"2013","journal-title":"Annals of Statistics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"787","DOI":"10.1109\/ISIT.2019.8849413","article-title":"Asynchronous multi-sensor change-point detection for seismic tremors","author":"Xie","year":"2019","journal-title":"IEEE International Symposium on Information Theory (ISIT)"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"99","DOI":"10.1002\/jae.776","article-title":"Monitoring structural change in dynamic econometric models","volume":"20","author":"Zeileis","year":"2005","journal-title":"Journal of Applied Econometrics"},{"key":"2023022408361981700_","doi-asserted-by":"crossref","first-page":"374","DOI":"10.1080\/00401706.2014.940089","article-title":"An efficient online monitoring method for high-dimensional data streams","volume":"57","author":"Zou","year":"2015","journal-title":"Technometrics"}],"container-title":["Journal of the Royal Statistical Society Series B: Statistical Methodology"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1111\/rssb.12447","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1111\/rssb.12447","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/academic.oup.com\/jrsssb\/article-pdf\/84\/1\/234\/49324090\/jrsssb_84_1_234.pdf","content-type":"application\/pdf","content-version":"vor","intended-application":"syndication"},{"URL":"https:\/\/academic.oup.com\/jrsssb\/article-pdf\/84\/1\/234\/49324090\/jrsssb_84_1_234.pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2024,9,16]],"date-time":"2024-09-16T19:40:41Z","timestamp":1726515641000},"score":1,"resource":{"primary":{"URL":"https:\/\/academic.oup.com\/jrsssb\/article\/84\/1\/234\/7056123"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2022,1,23]]},"references-count":41,"journal-issue":{"issue":"1","published-online":{"date-parts":[[2022,1,23]]},"published-print":{"date-parts":[[2022,2,1]]}},"URL":"https:\/\/doi.org\/10.1111\/rssb.12447","relation":{},"ISSN":["1369-7412","1467-9868"],"issn-type":[{"value":"1369-7412","type":"print"},{"value":"1467-9868","type":"electronic"}],"subject":[],"published-other":{"date-parts":[[2022,2]]},"published":{"date-parts":[[2022,1,23]]}}}